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Journal of Empirical Finance

Subject Areas: Economics and Econometrics
ISSN: 0927-5398
SJR: 80

Open Access

Journal Article

CRIX an index for cryptocurrencies

Trimborn, Simon; Härdle, Wolfgang Karl

2020 Quantitative Finance

doi:10.1016/j.jempfin.2018.08.004

Abstract: The cryptocurrency market is unique on many levels: Very volatile, frequently changing market structure, emerging and vanishing of cryptocurrencies on a daily level. Following its development became a difficult task with the success of cryptocurrencies (CCs) other than Bitcoin. For fiat...
Open Access

Journal Article

lCARE -- localizing Conditional AutoRegressive Expectiles

Xu, Xiu; Mihoci, Andrija; Härdle, Wolfgang Karl

2020 Quantitative Finance

doi:10.1016/j.jempfin.2018.06.006

Abstract: We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather than fitting the expectile models over ad-hoc...

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